A re-centred covariance estimator gives a rank test for spot covariance matrices that remains consistent under adapted drift, with level controlled non-asymptotically and separation rates depending on drift smoothness.
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Testing the rank of the spot covariance matrix of a multidimensional It\^o semi-martingale
A re-centred covariance estimator gives a rank test for spot covariance matrices that remains consistent under adapted drift, with level controlled non-asymptotically and separation rates depending on drift smoothness.